{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,2,19]],"date-time":"2026-02-19T07:20:15Z","timestamp":1771485615041,"version":"3.50.1"},"reference-count":24,"publisher":"Springer Science and Business Media LLC","issue":"1","license":[{"start":{"date-parts":[[2012,11,17]],"date-time":"2012-11-17T00:00:00Z","timestamp":1353110400000},"content-version":"tdm","delay-in-days":0,"URL":"http:\/\/www.springer.com\/tdm"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Ann Oper Res"],"published-print":{"date-parts":[[2013,5]]},"DOI":"10.1007\/s10479-012-1247-6","type":"journal-article","created":{"date-parts":[[2012,11,16]],"date-time":"2012-11-16T20:39:05Z","timestamp":1353098345000},"page":"141-168","source":"Crossref","is-referenced-by-count":30,"title":["What do robust equity portfolio models really do?"],"prefix":"10.1007","volume":"205","author":[{"given":"Woo Chang","family":"Kim","sequence":"first","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Jang Ho","family":"Kim","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"So Hyoung","family":"Ahn","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Frank J.","family":"Fabozzi","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"297","published-online":{"date-parts":[[2012,11,17]]},"reference":[{"issue":"2","key":"1247_CR1","doi-asserted-by":"crossref","first-page":"315","DOI":"10.1093\/rfs\/4.2.315","volume":"4","author":"M. J. Best","year":"1991","unstructured":"Best, M. J., & Grauer, R. R. (1991). On the sensitivity of mean-variance-efficient portfolios to changes in asset means: some analytical and computational results. The Review of Financial Studies, 4(2), 315\u2013342.","journal-title":"The Review of Financial Studies"},{"issue":"2","key":"1247_CR2","doi-asserted-by":"crossref","first-page":"7","DOI":"10.3905\/jfi.1991.408013","volume":"1","author":"F. Black","year":"1991","unstructured":"Black, F., & Litterman, R. (1991). Asset allocation: combining investor views with market equilibrium. The Journal of Fixed Income, 1(2), 7\u201318.","journal-title":"The Journal of Fixed Income"},{"issue":"5","key":"1247_CR3","doi-asserted-by":"crossref","first-page":"28","DOI":"10.2469\/faj.v48.n5.28","volume":"48","author":"F. Black","year":"1992","unstructured":"Black, F., & Litterman, R. (1992). Global portfolio optimization. Financial Analysts Journal, 48(5), 28\u201343.","journal-title":"Financial Analysts Journal"},{"issue":"2","key":"1247_CR4","doi-asserted-by":"crossref","first-page":"585","DOI":"10.2307\/2978737","volume":"30","author":"M. E. Blume","year":"1975","unstructured":"Blume, M. E., & Friend, I. (1975). The asset structure of individual portfolios and some implications for utility functions. The Journal of Finance, 30(2), 585\u2013604.","journal-title":"The Journal of Finance"},{"issue":"1","key":"1247_CR5","doi-asserted-by":"crossref","first-page":"21","DOI":"10.1007\/BF02282040","volume":"45","author":"M. Broadie","year":"1993","unstructured":"Broadie, M. (1993). Computing efficient frontiers using estimated parameters. Annals of Operations Research, 45(1), 21\u201358.","journal-title":"Annals of Operations Research"},{"issue":"2","key":"1247_CR6","doi-asserted-by":"crossref","first-page":"6","DOI":"10.3905\/jpm.1993.409440","volume":"19","author":"V. K. Chopra","year":"1993","unstructured":"Chopra, V. K., & Ziemba, W. T. (1993). The effect of errors in means, variances, and covariances on optimal portfolio choice. The Journal of Portfolio Management, 19(2), 6\u201311.","journal-title":"The Journal of Portfolio Management"},{"key":"1247_CR7","doi-asserted-by":"crossref","first-page":"40","DOI":"10.3905\/jpm.2007.684751","volume":"33","author":"F. J. Fabozzi","year":"2007","unstructured":"Fabozzi, F. J., Kolm, P. N., Pachamanova, D. A., & Focardi, S. M. (2007a). Robust portfolio optimization. The Journal of Portfolio Management, 33, 40\u201348.","journal-title":"The Journal of Portfolio Management"},{"key":"1247_CR8","volume-title":"Robust portfolio optimization and management","author":"F. J. Fabozzi","year":"2007","unstructured":"Fabozzi, F. J., Kolm, P. N., Pachamanova, D. A., & Focardi, S. M. (2007b). Robust portfolio optimization and management. Hoboken: Wiley."},{"key":"1247_CR9","doi-asserted-by":"crossref","first-page":"191","DOI":"10.1007\/s10479-009-0515-6","volume":"176","author":"F. J. Fabozzi","year":"2010","unstructured":"Fabozzi, F. J., Huang, D., & Zhou, G. (2010). Robust portfolios: contributions from operations research and finance. Annals of Operations Research, 176, 191\u2013220.","journal-title":"Annals of Operations Research"},{"issue":"1","key":"1247_CR10","doi-asserted-by":"crossref","first-page":"3","DOI":"10.1016\/0304-405X(93)90023-5","volume":"33","author":"E. F. Fama","year":"1993","unstructured":"Fama, E. F., & French, K. R. (1993). Common risk factors in the returns on stocks and bonds. Journal of Financial Economics, 33(1), 3\u201356.","journal-title":"Journal of Financial Economics"},{"issue":"1","key":"1247_CR11","doi-asserted-by":"crossref","first-page":"131","DOI":"10.1111\/j.1540-6261.1995.tb05169.x","volume":"50","author":"E. F. Fama","year":"1995","unstructured":"Fama, E. F., & French, K. R. (1995). Size and book-to-market factors in earnings and returns. The Journal of Finance, 50(1), 131\u2013155.","journal-title":"The Journal of Finance"},{"issue":"2","key":"1247_CR12","doi-asserted-by":"crossref","first-page":"153","DOI":"10.1016\/S0304-405X(96)00896-3","volume":"43","author":"E. F. Fama","year":"1997","unstructured":"Fama, E. F., & French, K. R. (1997). Industry costs of equity. Journal of Financial Economics, 43(2), 153\u2013193.","journal-title":"Journal of Financial Economics"},{"issue":"3","key":"1247_CR13","doi-asserted-by":"crossref","first-page":"433","DOI":"10.1093\/rof\/rfn005","volume":"12","author":"W. Goetzmann","year":"2008","unstructured":"Goetzmann, W., & Kumar, A. (2008). Equity portfolio diversification. Review of Finance, 12(3), 433\u2013463.","journal-title":"Review of Finance"},{"issue":"1","key":"1247_CR14","doi-asserted-by":"crossref","first-page":"1","DOI":"10.1287\/moor.28.1.1.14260","volume":"28","author":"D. Goldfarb","year":"2003","unstructured":"Goldfarb, D., & Iyengar, G. (2003). Robust portfolio selection problems. Mathematics of Operations Research, 28(1), 1\u201338.","journal-title":"Mathematics of Operations Research"},{"key":"1247_CR15","first-page":"79","volume-title":"Studies in the theory of capital markets","author":"M. C. Jensen","year":"1972","unstructured":"Jensen, M. C., Black, F., & Scholes, M. S. (1972). The capital asset pricing model: some empirical tests. In M. C. Jensen (Ed.), Studies in the theory of capital markets (pp. 79\u2013121). New York: Praeger."},{"key":"1247_CR16","unstructured":"Kim, W. C., Kim, J. H., & Fabozzi, F. J. (2012). Deciphering robust portfolios (Working paper)."},{"issue":"6","key":"1247_CR17","doi-asserted-by":"crossref","first-page":"637","DOI":"10.1080\/14697680903190179","volume":"9","author":"W. C. Kim","year":"2009","unstructured":"Kim, W. C., & Mulvey, J. M. (2009). Evaluating style investment\u2014does a fund market defined along equity styles add value? Quantitative Finance, 9(6), 637\u2013651.","journal-title":"Quantitative Finance"},{"issue":"1","key":"1247_CR18","first-page":"77","volume":"7","author":"H. Markowitz","year":"1952","unstructured":"Markowitz, H. (1952). Portfolio selection. The Journal of Finance, 7(1), 77\u201391.","journal-title":"The Journal of Finance"},{"key":"1247_CR19","volume-title":"Efficient asset management: a practical guide to stock portfolio optimization and asset allocation","author":"R. O. Michaud","year":"1998","unstructured":"Michaud, R. O. (1998). Efficient asset management: a practical guide to stock portfolio optimization and asset allocation. New York: Oxford University Press."},{"issue":"1","key":"1247_CR20","first-page":"8","volume":"6","author":"R. O. Michaud","year":"2008","unstructured":"Michaud, R. O., & Michaud, R. (2008). Estimation error and portfolio optimization: a resampling solution. Journal of Investment Management, 6(1), 8\u201328.","journal-title":"Journal of Investment Management"},{"issue":"2","key":"1247_CR21","doi-asserted-by":"crossref","first-page":"141","DOI":"10.12660\/rbfin.v8n2.2010.1489","volume":"8","author":"A. A. P. Santos","year":"2010","unstructured":"Santos, A. A. P. (2010). The out-of-sample performance of robust portfolio optimization. Brazilian Review of Finance, 8(2), 141\u2013166.","journal-title":"Brazilian Review of Finance"},{"issue":"6","key":"1247_CR22","doi-asserted-by":"crossref","first-page":"374","DOI":"10.1057\/palgrave.jam.2250049","volume":"7","author":"B. Scherer","year":"2007","unstructured":"Scherer, B. (2007). Can robust portfolio optimization help to build better portfolios? Journal of Asset Management, 7(6), 374\u2013387.","journal-title":"Journal of Asset Management"},{"key":"1247_CR23","unstructured":"Stubbs, R. A., & Vance, P. (2005). Computing return estimation error matrices for robust optimization. Axioma, Inc."},{"key":"1247_CR24","doi-asserted-by":"crossref","first-page":"157","DOI":"10.1023\/B:ANOR.0000045281.41041.ed","volume":"132","author":"R. H. T\u00fct\u00fcnc\u00fc","year":"2004","unstructured":"T\u00fct\u00fcnc\u00fc, R. H., & Koenig, M. (2004). Robust asset allocation. Annals of Operations Research, 132, 157\u2013187.","journal-title":"Annals of Operations Research"}],"container-title":["Annals of Operations Research"],"original-title":[],"language":"en","link":[{"URL":"http:\/\/link.springer.com\/content\/pdf\/10.1007\/s10479-012-1247-6.pdf","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"http:\/\/link.springer.com\/article\/10.1007\/s10479-012-1247-6\/fulltext.html","content-type":"text\/html","content-version":"vor","intended-application":"text-mining"},{"URL":"http:\/\/link.springer.com\/content\/pdf\/10.1007\/s10479-012-1247-6","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2020,7,16]],"date-time":"2020-07-16T05:56:33Z","timestamp":1594878993000},"score":1,"resource":{"primary":{"URL":"http:\/\/link.springer.com\/10.1007\/s10479-012-1247-6"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2012,11,17]]},"references-count":24,"journal-issue":{"issue":"1","published-print":{"date-parts":[[2013,5]]}},"alternative-id":["1247"],"URL":"https:\/\/doi.org\/10.1007\/s10479-012-1247-6","relation":{},"ISSN":["0254-5330","1572-9338"],"issn-type":[{"value":"0254-5330","type":"print"},{"value":"1572-9338","type":"electronic"}],"subject":[],"published":{"date-parts":[[2012,11,17]]}}}